Blender Multiple Animations
you can create multiple animations for a single object. 
There are 2 ways to do it. 

Either key frame your animation on time line as mentioned by @Xortrox above , or do some advance working in dopesheet/action editor, which allows you to create multiple animations, all seperate in their own animation set.

I prefer the 2nd option of dope sheet editor, as it gives more flexibility.